Yu-Jen Hsiao

National Central University

No. 300, Zhongda Road

Chung-Li Taiwan, 32054

Taiwan

  • National Central University

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The Impact of Liquidity on Option Prices

Journal of Futures Markets 31(12):1116-1141.
Number of pages: 42 Posted: 17 Mar 2010 Last Revised: 23 Feb 2019
Robin K. Chou, Yu-Jen Hsiao, Yaw-Huei Wang and San-Lin Chung
National Chengchi University, National Central University, National Taiwan University and National Taiwan University - Department of Finance
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Citation 2

Abstract:

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Liquidity, Option price, Implied volatility curve, Hedging cost